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Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

Persistent link: https://www.econbiz.de/10009580468

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Persistent link: https://www.econbiz.de/10009582392

The Beveridge-Nelson decomposition : a different perspective with new results

Gómez, Víctor; Breitung, Jörg - 1998

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

Persistent link: https://www.econbiz.de/10009577456

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Financial price fluctuations in a stock market model with many interacting agents

Horst, Ulrich - 2001

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

Persistent link: https://www.econbiz.de/10009613599